domain mapping

Is the domain mapping plugin the only way to get my users to be able to use the same account login wherever they are on the WPMU ecosystem? I'm experiencing the following problem (which I thought WPMU had working right out of a fresh install):

If I sign up as a new user and create a new blog at a new subdomain it works. But as soon as I visit that subdomain, I am no longer recognized as that user. However, if I login it takes me back to the parent domain where I am, of course, recognized as being already logged in. Which is to say, I can't log in to my subdomain.

Any ideas?